I just discovered how easy the Apple app "Remote" can be. Even though I don't use it very much, it might be very handy for you as a gamer. Connect Remote to your iTunes and then you can control your iTunes music and everything else via your idevice. So what I did: turn on iTunes, start a game, choose music via my iPod Touch.

No need to switch back to iTunes any more (which will make your PC extremely laggy if you're also playing a game) and no need to ever close your game again in order to change the song.